Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0129 |
| Annualized Std Dev | 0.3613 |
| Annualized Sharpe (Rf=0%) | -0.0358 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3565.0000 |
| NAs | 1.0000 |
| Minimum | -0.2636 |
| Quartile 1 | -0.0097 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0107 |
| Maximum | 0.1731 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0005 |
| Stdev | 0.0228 |
| Skewness | -0.4458 |
| Kurtosis | 11.9381 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0165 |
| Gain Deviation | 0.0162 |
| Loss Deviation | 0.0178 |
| Downside Deviation (MAR=210%) | 0.0208 |
| Downside Deviation (Rf=0%) | 0.0164 |
| Downside Deviation (0%) | 0.0164 |
| Maximum Drawdown | 0.8212 |
| Historical VaR (95%) | -0.0329 |
| Historical ES (95%) | -0.0545 |
| Modified VaR (95%) | -0.0345 |
| Modified ES (95%) | -0.0630 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-24 | 2020-03-18 | NA | -0.8212 | 1698 | 1444 | NA |
| 2008-06-24 | 2009-03-06 | 2013-10-22 | -0.6567 | 1312 | 167 | 1145 |
| 2008-01-04 | 2008-01-23 | 2008-04-09 | -0.1893 | 66 | 13 | 53 |
| 2007-07-24 | 2007-08-16 | 2007-09-19 | -0.1367 | 41 | 18 | 23 |
| 2006-12-15 | 2007-01-11 | 2007-04-03 | -0.1324 | 66 | 15 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -0.4 | -0.4 |
| 2007 | 0.4 | 0 | -0.7 | 0.5 | 0.4 | 0.4 | -2.2 | 1.8 | 0.6 | -2 | 1.1 | -1 | -0.7 |
| 2008 | 0.7 | -3.3 | 1.7 | -1.7 | 1.5 | -0.2 | 0.3 | -0.8 | 1.2 | 3.9 | -11.7 | 5.4 | -4.1 |
| 2009 | -2.4 | -1.5 | 0.6 | 5.4 | 5.7 | 0.7 | 1 | -1.5 | -1.7 | -4.4 | 1.6 | -0.6 | 2.4 |
| 2010 | 3.2 | 1.5 | 1.8 | -0.9 | -6.2 | -0.4 | 0.1 | 4.4 | 0.9 | 1 | 2.6 | 0.1 | 8.2 |
| 2011 | 1.2 | -2.4 | 0.3 | 1.7 | -2.1 | 0.9 | -0.1 | -0.7 | -2 | -3.3 | -0.4 | 0.9 | -6.2 |
| 2012 | 0.4 | 0.8 | 1.2 | 2.3 | -2.6 | 3.3 | 0.3 | 1 | 0.7 | 0.8 | 0.4 | 0.7 | 9.4 |
| 2013 | 1.1 | -0.6 | -0.7 | -0.9 | -2.3 | 1 | 1.7 | -0.2 | 0.8 | -0.2 | -0.1 | 1 | 0.4 |
| 2014 | -0.6 | 0.7 | 0.8 | -0.5 | -0.4 | -0.3 | -0.7 | 1 | -2.1 | 2.1 | -0.3 | -0.7 | -1.1 |
| 2015 | 2.1 | -0.4 | 0.4 | 0.6 | -0.6 | -1.9 | -1.5 | -4 | -0.3 | 1.3 | 1 | 1.6 | -1.8 |
| 2016 | -2.3 | 2.2 | -1.9 | 0.1 | 0.2 | 1.7 | -4.1 | -0.5 | 1.5 | -0.4 | 0.3 | -0.4 | -3.8 |
| 2017 | -0.6 | 2.1 | 0.4 | -0.4 | 0.6 | 0.5 | -0.7 | 1.4 | -0.1 | 1.7 | 1.2 | -0.4 | 5.9 |
| 2018 | 0.6 | 0.2 | 2.6 | -0.6 | 0.4 | 0.5 | -1.1 | -0.7 | 1.2 | 1.2 | -0.6 | 0.6 | 4.2 |
| 2019 | 0.8 | 1.9 | 1.4 | -2.5 | -1.8 | 0.1 | -3.1 | 0.1 | -2.4 | 3.4 | -1.3 | 0.9 | -2.6 |
| 2020 | -2.5 | 1.1 | -5.4 | -7.7 | 2.8 | -2.7 | -0.2 | -0.9 | -3.4 | 0.9 | 0.4 | -1 | -17.4 |
| 2021 | 0.8 | 2.5 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 49.1 SPY 139. 3.80e-3 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-09 50.8 SPY 138. -5.30e-3 0.0102 0.0227 0.0879 0.129 0.314 0.227 GLD 63.0 0.0301 0.0166
3 2006-11-10 49.8 SPY 138. 4.00e-4 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
4 2006-11-16 50.2 SPY 140. 2.60e-3 0.0159 0.0277 0.0741 0.137 0.338 0.222 GLD 61.3 -0.0086 -0.0261
5 2006-11-17 49.7 SPY 140. 3.00e-4 0.0158 0.0264 0.0791 0.127 0.352 0.228 GLD 61.8 0.0077 -0.0114
6 2006-11-20 49.6 SPY 140. 6.00e-4 0.0139 0.0267 0.0798 0.123 0.342 0.214 GLD 61.8 -0.0002 -0.0068
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
